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題名 兩種新奇選擇權之理論應用 作者 陳嘉彬 貢獻者 陳松男<br>翁久幸
陳嘉彬關鍵詞 風險中立評價法
延後選擇權證
匯率連動權證
重設型權證日期 2001 上傳時間 15-四月-2016 16:10:10 (UTC+8) 摘要 本文包含兩篇獨立文章，上篇內容為延後選擇型匯率連動權證，主要藉由風險中立評價法，以組合與拆解之觀念說明利用已知的權證類型，可以創造出更具效益之新奇權證，並對其評價與相關避險策略做進一步探討。下篇內容為重設型權證，重心在定期重設權證之風險特徵與策略應用，並以模擬一例證說明附加重設型權證之操作策略。 參考文獻 Cheng, W. Y. and Zhang, S., “The Analytics of Reset Options.” The Journal of Derivatives, Fall 2000, pp.59-71.Cox, John, and Stephen Ross, “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics, Vol. 3 (1976), pp. 145-166.Derman, E., D. Ergener and I. Kani, “Static Hedging Replication.” The Journal of Derivatives, Summer 1995, pp.78-95.Garman, Mark, and Steven Kolhagen, “Foreign Currency Option Values.” Journal of International Money and Finance, Dec. 1983, pp.231-237.Gary, S., and R. Whaley, “Reset Put Options: Valuation, Risk Characteristics, and an Application.” Australian Journal of Management, 1999, pp 1-20.----- “Valuing S&P 500 Bear Market Warrants with A Periodic Reset.” The Journal of Derivatives, Fall 1997, pp.99-106.Ho, T. S., Stapleton, R. C. and Subrahmanyam, M. G., “Correlation Risk, Cross-Market Derivatives Products and Portfolio Performance.” Journal of European Financial Management , 1995, pp.105-124.Nelken, I., The Handbook of Exotic Options: Instruments, analysis and applications, Irwin, 1996.Reiner, E., “Quanto Mechanics.” From Black-Scholes to Black Holes, Risk Magazine Ltd., 1992, pp.147-154.Rubinstein, M., “Option for The Undecided.” Risk 4 (4), pp.43.Wilmott, P., J. Dewynne and S. Howison, Option Pricing-Mathematical Models and Computation, Oxford Financial Express, 1993.Zhang, P. Exotic Options, World Scientific Publishing, 1997.陳松男(2000) 選擇權投資交易策略--教戰守則，華泰書局。陳威光(1999) “The Valuation and Hedging of Reset Option”，中國財務學會年會。張佳祥、廖益誠(1999) 「回顧型重設認購權證之金融創新--最低價重設、無限層保護」，寶來金融創新期刊第八期。 warrantnet.com.tw/JFI/article/8/htm/2.htm張佳祥(1999) 「重設型認購權證之簡介」，寶來金融創新期刊第四期。warrantnet.com.tw/JFI/article/4/htm/9.htm 描述 碩士
國立政治大學
統計學系
87354008資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001352 資料類型 thesis dc.contributor.advisor 陳松男<br>翁久幸 zh_TW dc.contributor.author (作者) 陳嘉彬 zh_TW dc.creator (作者) 陳嘉彬 zh_TW dc.date (日期) 2001 en_US dc.date.accessioned 15-四月-2016 16:10:10 (UTC+8) - dc.date.available 15-四月-2016 16:10:10 (UTC+8) - dc.date.issued (上傳時間) 15-四月-2016 16:10:10 (UTC+8) - dc.identifier (其他 識別碼) A2002001352 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85139 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 統計學系 zh_TW dc.description (描述) 87354008 zh_TW dc.description.abstract (摘要) 本文包含兩篇獨立文章，上篇內容為延後選擇型匯率連動權證，主要藉由風險中立評價法，以組合與拆解之觀念說明利用已知的權證類型，可以創造出更具效益之新奇權證，並對其評價與相關避險策略做進一步探討。下篇內容為重設型權證，重心在定期重設權證之風險特徵與策略應用，並以模擬一例證說明附加重設型權證之操作策略。 zh_TW dc.description.tableofcontents 封面頁證明書致謝詞論文摘要目錄圖表目錄前言上篇：延後選擇型匯率連動權證之評價與避險策略壹、緒論研究動機與目的研究方法與架構貳、延後選擇型權證簡介評價與特徵參、匯率連動型權證簡介評價模型架構避險策略修正肆、匯率連動型買權評價與避險策略履約價格單位為外國貨幣之買權履約價格單位為本國貨幣之買權固定匯率買權資產連動買權伍、模型比較陸、延後選擇型匯率連動權證履約價以外幣計價之延後選擇匯率連動買權履約價以本國幣計價之延後選擇匯率連動買權延後選擇型固定匯率買權延後選擇型資產連動買權四種延後選擇匯率連動買權之比較柒、結論下篇：重設型權證之評價、風險特徵與應用壹、緒論研究動機與目的研究方法與架構貳、簡介參、評價模型定期重設型買權定價重設型買權肆、例證研究伍、風險特徵分析波動度敏感度利率敏感度重設日敏感度避險比例陸、策略應用融券的保險策略融資的保險策略柒、結論附錄參考文獻 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001352 en_US dc.subject (關鍵詞) 風險中立評價法 zh_TW dc.subject (關鍵詞) 延後選擇權證 zh_TW dc.subject (關鍵詞) 匯率連動權證 zh_TW dc.subject (關鍵詞) 重設型權證 zh_TW dc.title (題名) 兩種新奇選擇權之理論應用 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Cheng, W. Y. and Zhang, S., “The Analytics of Reset Options.” The Journal of Derivatives, Fall 2000, pp.59-71.Cox, John, and Stephen Ross, “The Valuation of Options for Alternative Stochastic Processes.” Journal of Financial Economics, Vol. 3 (1976), pp. 145-166.Derman, E., D. Ergener and I. Kani, “Static Hedging Replication.” The Journal of Derivatives, Summer 1995, pp.78-95.Garman, Mark, and Steven Kolhagen, “Foreign Currency Option Values.” Journal of International Money and Finance, Dec. 1983, pp.231-237.Gary, S., and R. Whaley, “Reset Put Options: Valuation, Risk Characteristics, and an Application.” Australian Journal of Management, 1999, pp 1-20.----- “Valuing S&P 500 Bear Market Warrants with A Periodic Reset.” The Journal of Derivatives, Fall 1997, pp.99-106.Ho, T. S., Stapleton, R. C. and Subrahmanyam, M. G., “Correlation Risk, Cross-Market Derivatives Products and Portfolio Performance.” Journal of European Financial Management , 1995, pp.105-124.Nelken, I., The Handbook of Exotic Options: Instruments, analysis and applications, Irwin, 1996.Reiner, E., “Quanto Mechanics.” From Black-Scholes to Black Holes, Risk Magazine Ltd., 1992, pp.147-154.Rubinstein, M., “Option for The Undecided.” Risk 4 (4), pp.43.Wilmott, P., J. Dewynne and S. Howison, Option Pricing-Mathematical Models and Computation, Oxford Financial Express, 1993.Zhang, P. Exotic Options, World Scientific Publishing, 1997.陳松男(2000) 選擇權投資交易策略--教戰守則，華泰書局。陳威光(1999) “The Valuation and Hedging of Reset Option”，中國財務學會年會。張佳祥、廖益誠(1999) 「回顧型重設認購權證之金融創新--最低價重設、無限層保護」，寶來金融創新期刊第八期。 warrantnet.com.tw/JFI/article/8/htm/2.htm張佳祥(1999) 「重設型認購權證之簡介」，寶來金融創新期刊第四期。warrantnet.com.tw/JFI/article/4/htm/9.htm zh_TW
